While the state-of-the-art performance on entity resolution (ER) has been achieved by deep learning, its effectiveness depends on large quantities of accurately labeled training data. To alleviate the data labeling burden, Active Learning (AL) presents itself as a feasible solution that focuses on data deemed useful for model training. Building upon the recent advances in risk analysis for ER, which can provide a more refined estimate on label misprediction risk than the simpler classifier outputs, we propose a novel AL approach of risk sampling for ER. Risk sampling leverages misprediction risk estimation for active instance selection. Based on the core-set characterization for AL, we theoretically derive an optimization model which aims to minimize core-set loss with non-uniform Lipschitz continuity. Since the defined weighted K-medoids problem is NP-hard, we then present an efficient heuristic algorithm. Finally, we empirically verify the efficacy of the proposed approach on real data by a comparative study. Our extensive experiments have shown that it outperforms the existing alternatives by considerable margins. Using ER as a test case, we demonstrate that risk sampling is a promising approach potentially applicable to other challenging classification tasks.